A simple noniterative estimator for moving average models
From MaRDI portal
Publication:4299489
DOI10.1093/biomet/81.1.143zbMath0800.62522MaRDI QIDQ4299489
John W. Galbraith, Victoria Zinde-Walsh
Publication date: 4 July 1994
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/81.1.143
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09: Non-Markovian processes: estimation
62F10: Point estimation
Related Items
COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY, ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION, GARCH Model Estimation Using Estimated Quadratic Variation, Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es, A new preliminary estimator for MA(1) models, On the distributions of augmented Dickey-Fuller statistics in processes with moving average components, New exact ML estimation and inference for a Gaussian \(MA(1)\) process, Improved inference for moving average disturbances in nonlinear regression models